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[1F3-GS-10b-04] Carry Trading Strategy with RM-CVaR Portfolio
Keywords:Portfolio Management, RM-CVaR, Regularization
Therefore, in this research, we construct a carry trade strategy using Conditional Value at Risk (CVaR), which is a risk measure for controlling tail risk, and aim to generate stable profits while suppressing tail risk.
To that end, we focus on the Regularized Multiple CVaR portfolio, which solves the instability of CVaR portfolio, and propose to introduce a carry level as an expected return. We perform the empirical study and confirm that the risk/return and tail risk are better than the baseline method.
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